5 citations · 7 across the 4 of their papers we have counts for
6 papers
Robust Product Markovian Quantization
Ralph Rudd, Thomas A. McWalter, Joerg Kienitz +1
Recursive marginal quantization (RMQ) allows the construction of optimal discrete grids for approximating solutions to stochastic differential equations in d-dimensions. Product Ma…
Quantization Under the Real-world Measure: Fast and Accurate Valuation of Long-dated Contracts
Ralph Rudd, Thomas A. McWalter, Joerg Kienitz +1
This paper provides a methodology for fast and accurate pricing of the long-dated contracts that arise as the building blocks of insurance and pension fund agreements. It applies t…
Fast Quantization of Stochastic Volatility Models
Ralph Rudd, Thomas A. McWalter, Joerg Kienitz +1
Recursive Marginal Quantization (RMQ) allows fast approximation of solutions to stochastic differential equations in one-dimension. When applied to two factor models, RMQ is ineffi…
Recursive Marginal Quantization of Higher-Order Schemes
T. A. McWalter, R. Rudd, J. Kienitz +1
Quantization techniques have been applied in many challenging finance applications, including pricing claims with path dependence and early exercise features, stochastic optimal co…
On the Estimation of the Proportion of True Recent Infections Using the BED Capture Enzyme Immunoassay
T. A. McWalter, A. Welte
In this short note, we analyze the assumptions made by McDougal et al (2006), both explicit and implicit, in their estimation of the proportion of "true recent infections" using th…
Relating Recent Infection Prevalence to Incidence with a Sub-population of Non-progressors
Thomas A. McWalter, Alex Welte
We present a new analysis of relationships between disease incidence and the prevalence of an experimentally defined state of `recent infection'. This leads to a clean separation b…